I have the following polynomial regression model:
Y_i | \mu_i, \sigma^2 \sim \text{Normal}(\mu_i, \sigma^2), i = 1, \dots, n \ \text{independent}
\mu_i = \alpha + \beta_1 x_{i1} + \beta_2 x_{i2} + \beta_3 x_{i1}^2 + \beta_4 x_{i2}^2 + \beta_5 x_{i1} x_{i2}
\alpha \sim \text{some suitable prior}
\beta_1, \dots, \beta_5 \sim \text{some suitable priors}
\sigma^2 \sim \text{some suitable prior}
I want to take as input the sample size and the vectors of observations on y_i, x_{i1}, and x_{i2}. The code for this is as follows:
data{
int<lower=1> n;
vector[n] x1;
vector[n] x2;
vector[n] y;
}
I want to standardise (centre and scale) the two input variables to obtain the standardised regressor variables x1_std and x2_std. The code for this is in the transformed data block, as follows:
transformed data{
real bar_x1;
real x1_sd;
vector[n] x1_std;
real bar_x2;
real x2_sd;
vector[n] x2_std;
real y_sd;
bar_x1 = mean(x1);
x1_sd = sd(x1);
x1_std = (x1 - bar_x1)/x1_sd; // centered and scaled
bar_x2 = mean(x2);
x2_sd = sd(x2);
x2_std = (x2 - bar_x2)/x2_sd; // centered and scaled
y_sd = sd(y);
}
I then want to fit the above polynomial regression model using the standardised regressor variables and return estimates for the regression parameters \alpha, \beta_1 and \dots, \beta_5, on both the original and standardised scale.
Let \bar{x}_1 and s_1 denote the sample mean and standard deviation of the x_{i1}, respectively. Likewise, let \bar{x}_2 and s_2 denote the sample mean and standard deviation of the x_{i2}, respectively. If we call the regression parameter on the scale of the standardised regressors \tilde{\alpha}, \gamma_1, \dots, \gamma_5, then the following relationships will hold between \tilde{\alpha} and the \gamma_i and \alpha and the \beta_i:
Based on this, if I am not mistaken, the transformation formulae from the standardised parameters to the original scale are as follows:
\alpha = \tilde{\alpha} - \dfrac{\gamma_1}{s_1}\bar{x}_1 - \dfrac{\gamma_2}{s_2}\bar{x}_2 + \dfrac{\gamma_3}{s_1^2}\bar{x}_1^2 + \dfrac{\gamma_4}{s_2^2}\bar{x}_2^2 + \dfrac{\gamma_5}{s_1 s_2}\bar{x}_1\bar{x}_2
\beta_1 = \left( \dfrac{\gamma_1}{s_1} - 2\dfrac{\gamma_3}{s_1^2}\bar{x}_1 - \dfrac{\gamma_5}{s_1 s_2}\bar{x}_2 \right)
\beta_2 = \left( \dfrac{\gamma_2}{s_2} - 2\dfrac{\gamma_4}{s_2^2}\bar{x}_2 - \dfrac{\gamma_5}{s_1 s_2}\bar{x}_1 \right)
\beta_3 = \dfrac{\gamma_3}{s_1^2}
\beta_4 = \dfrac{\gamma_4}{s_2^2}
\beta_5 = \dfrac{\gamma_5}{s_1 s_2}
The code implementing this is contained in the generated quantities block as follows:
alpha = alpha_std - beta1_std*bar_x1/x1_sd - beta2_std*bar_x2/x2_sd
+ (beta3_std*bar_x1^2)/x1_sd^2 + (beta4_std*bar_x2^2)/x2_sd^2
+ (beta5_std*bar_x2*bar_x1)/(x1_sd*x2_sd);
beta1 = beta1_std/x1_sd - 2*beta3_std*bar_x1/x1_sd^2
- beta5_std*bar_x2/(x1_sd*x2_sd);
beta2 = beta2_std/x2_sd - 2*beta4_std*bar_x2/x2_sd^2
- beta5_std*bar_x1/(x1_sd*x2_sd);
beta3 = beta3_std/x1_sd^2;
beta4 = beta4_std/x2_sd^2;
beta5 = beta5_std/(x1_sd*x2_sd);
My entire model is as follows:
data{
int<lower=1> n;
vector[n] x1;
vector[n] x2;
vector[n] y;
}
transformed data{
real bar_x1;
real x1_sd;
vector[n] x1_std;
real bar_x2;
real x2_sd;
vector[n] x2_std;
real y_sd;
bar_x1 = mean(x1);
x1_sd = sd(x1);
x1_std = (x1 - bar_x1)/x1_sd; // centered and scaled
bar_x2 = mean(x2);
x2_sd = sd(x2);
x2_std = (x2 - bar_x2)/x2_sd; // centered and scaled
y_sd = sd(y);
}
parameters{
real<lower=0> sigma;
real alpha_std;
real beta1_std;
real beta2_std;
real beta3_std;
real beta4_std;
real beta5_std;
}
transformed parameters {
real mu[n];
for(i in 1:n) {
mu[i] = alpha_std + beta1_std*x1_std[i]
+ beta2_std*x2_std[i] + beta3_std*x1_std[i]^2
+ beta4_std*x2_std[i]^2 + beta5_std*x1_std[i]*x2_std[i];
}
}
model{
alpha_std ~ normal(0, 10);
beta1_std ~ normal(0, 2.5);
beta2_std ~ normal(0, 2.5);
beta3_std ~ normal(0, 2.5);
beta4_std ~ normal(0, 2.5);
beta5_std ~ normal(0, 2.5);
sigma ~ exponential(1 / y_sd);
y ~ normal(mu, sigma);
}
generated quantities {
real alpha;
real beta1;
real beta2;
real beta3;
real beta4;
real beta5;
alpha = alpha_std - beta1_std*bar_x1/x1_sd - beta2_std*bar_x2/x2_sd
+ (beta3_std*bar_x1^2)/x1_sd^2 + (beta4_std*bar_x2^2)/x2_sd^2
+ (beta5_std*bar_x2*bar_x1)/(x1_sd*x2_sd);
beta1 = beta1_std/x1_sd - 2*beta3_std*bar_x1/x1_sd^2
- beta5_std*bar_x2/(x1_sd*x2_sd);
beta2 = beta2_std/x2_sd - 2*beta4_std*bar_x2/x2_sd^2
- beta5_std*bar_x1/(x1_sd*x2_sd);
beta3 = beta3_std/x1_sd^2;
beta4 = beta4_std/x2_sd^2;
beta5 = beta5_std/(x1_sd*x2_sd);
}
I am using the hills data set from R’s MASS package:
library(MASS)
hills[18, 3] <- 18.65 # Fixing transcription error
x1 <- hills$dist
x2 <- hills$climb
y <- hills$time
n <- length(x1)
data.in <- list(x1 = x1, x2 = x2, y = y, n = n)
model.fit <- sampling(example, data.in)
And now I output the standardised (alpha_std, beta1_std, beta2_std, beta3_std, beta4_std, beta5_std) and original scale (alpha, beta1, beta2, beta3, beta4, beta5) regression parameters:
print(model.fit, pars = c("alpha_std", "alpha", "beta1_std", "beta2_std", "beta3_std", "beta4_std", "beta5_std", "beta1", "beta2", "beta3", "beta4", "beta5", "sigma"), probs = c(0.05, 0.5, 0.95), digits = 5)
I would greatly appreciate it if people could please advise as to whether I’ve gone about this correctly. I’ve also double- and triple-checked the mathematics, so I think it should be correct.